Bent Nielsen

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Søren JohansenProfessor of Econometrics, University of CopenhagenVerified email at econ.ku.dk
Jens Perch NielsenProfessor of Actuarial Science, Cass Business SchoolVerified email at city.ac.uk
David F HendrySenior Research Fellow, Nuffield College, Oxford UniversityVerified email at nuffield.ox.ac.uk
Anders RahbekProfessor, University of CopenhagenVerified email at econ.ku.dk
Maria Dolores Martinez-MirandaUniversidad de GranadaVerified email at ugr.es
Rocco MosconiPolitecnico di MilanoVerified email at polimi.it
Neil ShephardFrank B. Baird Jr, Professor of Science, Dept of Economics & Dept of Statistics, Harvard UniversityVerified email at fas.harvard.edu
Tom EngstedProfessor of Finance and Economics, Aarhus UniversityVerified email at econ.au.dk
Andrew WhitbyAuthorVerified email at andrewwhitby.id.au
Richard VerrallCity, University of LondonVerified email at city.ac.uk
Christiaan MondenUniversity of Oxford & Nuffield CollegeVerified email at nuffield.ox.ac.uk
Xiyu JiaoNuffield College and Department of Economics, University of OxfordVerified email at nuffield.ox.ac.uk
David H. BernsteinEconomist, Federal Energy Regulatory CommissionVerified email at ferc.gov
Sheila M Bird (nee Gore)Professor, biostatisticianVerified email at mrc-bsu.cam.ac.uk
J James ReadeDepartment of Economics, University of ReadingVerified email at reading.ac.uk
Matthias QianUniversity of OxfordVerified email at sbs.ox.ac.uk
Zorica Mladenović (Vujošević)Faculty of Economics, University of BelgradeVerified email at ekof.bg.ac.rs

Bent Nielsen

Nuffield College & Department of Economics, Oxford & Programme on Economic Modelling, INET, Oxford

Verified email at nuffield.ox.ac.uk - Homepage

Econometrics Statistics


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Cointegration analysis in the presence of structural breaks in the deterministic trend S Johansen, R Mosconi, B Nielsen The Econometrics Journal 3 (2), 216-249, 2000	942	2000
Asymptotic inference on cointegrating rank in partial systems I Harbo, S Johansen, B Nielsen, A Rahbek Journal of business & economic statistics 16 (4), 388-399, 1998	448	1998
Inference in cointegrating models: UK M1 revisited JA Doornik, DF Hendry, B Nielsen Journal of economic surveys 12 (5), 533-572, 1998	302	1998
An analysis of the indicator saturation estimator as a robust regression estimator S Johansen, B Nielsen Castle, and Shephard (2009) 1, 1-36, 2009	240	2009
Econometric modeling: a likelihood approach DF Hendry, B Nielsen Princeton University Press, 2007	222	2007
Order determination in general vector autoregressions B Nielsen Lecture Notes-Monograph Series, 93-112, 2006	162*	2006
Asymptotics for cointegration rank tests in the presence of intervention dummies-manual for the simulation program DisCo S Johansen, B Nielsen manuscript, Institute of Mathematical Statistics, University of Copenhagen, 1993	140*	1993
Identification of the age-period-cohort model and the extended chain-ladder model D Kuang, B Nielsen, JP Nielsen Biometrika 95 (4), 979-986, 2008	120	2008
Similarity issues in cointegration analysis B Nielsen, A Rahbek Department of Theoretical Statistics, Copenhagen University, 1998	113	1998
Forecasting with the age-period-cohort model and the extended chain-ladder model D Kuang, B Nielsen, JP Nielsen Biometrika 95 (4), 987-991, 2008	101	2008
Asymptotic theory of outlier detection algorithms for linear time series regression models S Johansen, B Nielsen Scandinavian Journal of Statistics 43 (2), 321-348, 2016	97	2016
Bartlett correction of the unit root test in autoregressive models B Nielsen Biometrika 84 (2), 500-504, 1997	89	1997
Identification and forecasting in mortality models B Nielsen, JP Nielsen The Scientific World Journal 2014, 2014	75*	2014
Testing for rational bubbles in a coexplosive vector autoregression T Engsted, B Nielsen The Econometrics Journal 15 (2), 226-254, 2012	56	2012
Analysis of coexplosive processes B Nielsen Econometric Theory 26 (3), 882-915, 2010	53	2010
Chain-ladder as maximum likelihood revisited D Kuang, B Nielsen, JP Nielsen Annals of Actuarial Science 4 (1), 105-121, 2009	52	2009
Cash flow simulation for a model of outstanding liabilities based on claim amounts and claim numbers MDM Miranda, B Nielsen, JP Nielsen, R Verrall ASTIN Bulletin: The Journal of the IAA 41 (1), 107-129, 2011	51	2011
Analysis of the Forward Search using some new results for martingales and empirical processes S Johansen, B Nielsen	49*	2016
On the distribution of likelihood ratio test statistics for cointegration rank B Nielsen Econometric reviews 23 (1), 1-23, 2004	47*	2004
Inference and forecasting in the age–period–cohort model with unknown exposure with an application to mesothelioma mortality MD Martínez Miranda, B Nielsen, JP Nielsen Journal of the Royal Statistical Society Series A: Statistics in Society 178 …, 2015	45	2015

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